A scaling analysis of a cat and mouse Markov chain

DOI10.1214/11-AAP785zbMATH Open1253.60081arXiv0905.2259OpenAlexW3104724492MaRDI QIDQ417084FDOQ417084

Authors: Nelly Litvak, Philippe Robert 

Publication date: 13 May 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: If $(C_n)$ is a Markov chain on a discrete state space $mathcalS$, a Markov chain $(C_n,M_n)$ on the product space $mathcalSimesmathcalS$, the cat and mouse Markov chain, is constructed. The first coordinate of this Markov chain behaves like the original Markov chain and the second component changes only when both coordinates are equal. The asymptotic properties of this Markov chain are investigated. A representation of its invariant measure is, in particular, obtained. When the state space is infinite it is shown that this Markov chain is in fact null recurrent if the initial Markov chain $(C_n)$ is positive recurrent and reversible. In this context, the scaling properties of the location of the second component, the mouse, are investigated in various situations: simple random walks in $mathbbZ$ and ${mathbbZ}^2$ reflected a simple random walk in $mathbbN$ and also in a continuous time setting. For several of these processes, a time scaling with rapid growth gives an interesting asymptotic behavior related to limiting results for occupation times and rare events of Markov processes.

Full work available at URL: https://arxiv.org/abs/0905.2259

Recommendations

• Limit theorems and structural properties of the cat-and-mouse Markov chain and its generalisations
• scientific article; zbMATH DE number 3925922
• On Cowan and Mecke's Markov chain
• Classification of Markov chains describing the evolution of random strings
• Remarks on a monotone Markov chain

zbMATH Keywords

cat and mouse Markov chainsscaling of null recurrent Markov chains

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Functional limit theorems; invariance principles (60F17) Communication networks in operations research (90B18)

Cites Work

• Title not available (Why is that?)
• Applied Probability and Queues
• Implicit renewal theory and tails of solutions of random equations
• Exponential functionals of Brownian motion and related processes
• Weak invariance principles for local time
• Markov Chains
• Markov chain models - rarity and exponentiality
• Random walks on weighted graphs and applications to on-line algorithms
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Limit theorems for occupation times of Markov processes
• Title not available (Why is that?)
• A Survey on PageRank Computing
• Title not available (Why is that?)
• A discrete renewal theorem with infinite mean
• Title not available (Why is that?)
• Exponential functionals of Lévy processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Random Walks and A Sojourn Density Process of Brownian Motion
• A limit theorem for sums of random number of i.i.d. random variables and its application to occupation times of Markov chains
• A limit theorem for slowly increasing occupation times
• AIMD algorithms and exponential functionals
• Title not available (Why is that?)

Cited In (4)

• Stability of a Markov-modulated Markov Chain, with application to a wireless network governed by two protocols
• Red light green light method for solving large Markov chains
• New ways of solving large Markov chains
• Limit theorems and structural properties of the cat-and-mouse Markov chain and its generalisations

This page was built for publication: A scaling analysis of a cat and mouse Markov chain

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q417084)